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Stochastic process
Volatility
40,903
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40,635
Theorie
16,250
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15,748
Optionspreistheorie
14,803
Option pricing theory
14,344
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3,939
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3,329
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3,321
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3,308
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3,268
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3,261
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3,236
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3,145
Portfolio-Management
3,110
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3,094
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3,086
volatility
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McAleer, Michael
66
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38
Asai, Manabu
37
Cui, Zhenyu
36
Koopman, Siem Jan
35
Chan, Joshua
34
Todorov, Viktor
34
Takahashi, Akihiko
29
Escobar, Marcos
27
Madan, Dilip B.
27
Barndorff-Nielsen, Ole E.
25
Clark, Todd E.
25
Fabozzi, Frank J.
25
Mumtaz, Haroon
25
Shephard, Neil G.
25
Carr, Peter
24
Tauchen, George Eugene
23
Nguyen, Duy
22
Fouque, Jean-Pierre
21
Hainaut, Donatien
21
Platen, Eckhard
21
Yu, Jun
21
Alòs, Elisa
20
Andersen, Torben
20
Benth, Fred Espen
19
Carriero, Andrea
19
Elliott, Robert J.
19
Oosterlee, Cornelis W.
19
Wong, Hoi Ying
19
Grasselli, Martino
18
Marcellino, Massimiliano
18
Bos, Charles S.
17
Hafner, Christian M.
17
Martin, Gael M.
17
Renault, Eric
17
Renò, Roberto
17
Rodriguez, Gabriel
17
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17
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16
Račev, Svetlozar T.
16
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1
Bachelier Finance Society
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Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
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Zentrum für Europäische Wirtschaftsforschung
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International journal of theoretical and applied finance
230
Quantitative finance
123
Journal of econometrics
109
Applied mathematical finance
103
Finance and stochastics
100
The journal of computational finance
93
Insurance / Mathematics & economics
79
Mathematical finance : an international journal of mathematics, statistics and financial theory
75
European journal of operational research : EJOR
71
Computational economics
65
Discussion paper / Tinbergen Institute
60
International journal of financial engineering
59
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
57
Journal of economic dynamics & control
57
Journal of mathematical finance
57
Risks : open access journal
55
Finance research letters
51
Journal of banking & finance
47
The journal of futures markets
46
Econometric reviews
45
Review of derivatives research
43
Annals of finance
40
Energy economics
39
Working paper
39
Research paper series / Swiss Finance Institute
38
The North American journal of economics and finance : a journal of financial economics studies
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
34
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
33
Journal of risk and financial management : JRFM
31
Economic modelling
30
Economics letters
30
Journal of empirical finance
30
Asia-Pacific financial markets
29
The European journal of finance
29
Applied economics
25
CAMA working paper series
24
CREATES research paper
24
SFB 649 discussion paper
24
Mathematical finance : an international journal of mathematics, statistics and financial economics
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
5,318
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1
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5,318
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1
Capturing implied correlation skew from options prices via multiscale stochastic
volatility
models
Pellegrino, T.
- In:
International journal of financial engineering
7
(
2020
)
4
,
pp. 1-42
Persistent link: https://www.econbiz.de/10012603755
Saved in:
2
Variance swap with mean reversion, multifactor stochastic
volatility
and jumps
Pun, Chi Seng
;
Chung, Shing Fung
;
Wong, Hoi Ying
- In:
European journal of operational research : EJOR
245
(
2015
)
2
,
pp. 571-580
Persistent link: https://www.econbiz.de/10011308968
Saved in:
3
New solvable stochastic
volatility
models for
pricing
volatility
derivatives
Itkin, Andrey
- In:
Review of derivatives research
16
(
2013
)
2
,
pp. 111-134
Persistent link: https://www.econbiz.de/10009774404
Saved in:
4
Humps in the
volatility
structure of the crude oil futures market : new evidence
Chiarella, Carl
;
Kang, Boda
;
Nikitopoulos, Christina …
- In:
Energy economics
40
(
2013
),
pp. 989-1000
Persistent link: https://www.econbiz.de/10010355994
Saved in:
5
On moment non-explosions for Wishart-based stochastic
volatility
models
Fonseca, José da
- In:
European journal of operational research : EJOR
254
(
2016
)
3
,
pp. 889-894
Persistent link: https://www.econbiz.de/10011521879
Saved in:
6
Pricing
American options with the Runge-Kutta-Legendre finite difference scheme
Le Floc'h, Fabien
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012652624
Saved in:
7
Wavelet-based option
pricing
: an empirical study
Liu, Xiaoquan
;
Cao, Yi
;
Ma, Chenghu
;
Shen, Liya
- In:
European journal of operational research : EJOR
272
(
2019
)
3
,
pp. 1132-1142
Persistent link: https://www.econbiz.de/10011942861
Saved in:
8
On exact
pricing
of FX options in multivariate time-changed levy models
Ivanov, Roman V.
;
Ano, Katsunori
- In:
Review of derivatives research
19
(
2016
)
3
,
pp. 201-216
Persistent link: https://www.econbiz.de/10011927968
Saved in:
9
Full and fast calibration of the Heston stochastic
volatility
model
Cui, Yiran
;
Baño Rollin, Sebastian del
;
Germano, Guido
- In:
European journal of operational research : EJOR
263
(
2017
)
2
,
pp. 625-638
Persistent link: https://www.econbiz.de/10011794003
Saved in:
10
Simple robust hedging with nearby contracts
Wu, Liuren
;
Zhu, Jingyi
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
1
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011658670
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